Download and install these items:
Downloading and installing the Skype for Business Online Connector module
Downloading and installing Windows PowerShell 3.0 in Skype for Business Online.aspx)
Once you have installed all the requirement, you are all set
Just run the below CMDs or rather create a function and add them a custom module.
POWERSHELL
Import-Module LyncOnlineConnector
$credential = Get-Credential
$session = New-CsOnlineSession -Credential $credential
Import-PSSession $session